In this paper we report further progress towards a complete theory of state-independent expected utility maximization with semi-martingale price processes for arbitrary utility function. Without any technical assumptions we establish a surprising Fenchel duality result on conjugate Orlicz...

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated...